Fractal breakout intraday Strategy EUR/USD 1H –

ALE · Sun, 16 Apr 2017 08:44:03 +0000

Hello guys We can discuss about the strategy here, we can help together to develop the strategy . This is the strategy posted in the Library there : https://www.prorealcode.com/prorealtime-trading-strategies/fractal-breakout-intraday-strategy-eurusd-1h/ Below you can find 3 screenshot with explanation of the stop, and levels used in this strategy. // EURUSD(-) - IG MARKET // TIME FRAME 1H // PROBACKTEST TICK by TICK - 200.000 bars // SPREAD 0.6 PIP // ALE DEFPARAM CumulateOrders = false ///BILL WILLIAM FRACTAL INDICATOR //CP=PERIOD CP=113 if close[cp] >= highest[2*cp+1](close) then LH = 1 else LH=0 endif if close[cp] <= lowest[2*cp+1](close) then LL= -1 else LL=0 endif if LH=1 then HIL = close[cp] endif if LL = -1 then LOL=close[cp] endif //LONG and SHORT CONDITIONS Positionsize=1 if (time >=100000 and time < 230000) then C1 = (close CROSSES OVER HIL) D1 = (close CROSSES UNDER LOL) IF c1 and not shortonmarket THEN BUY positionsize CONTRACT AT MARKET ENDIF IF D1 and not longonmarket THEN SELLSHORT positionsize CONTRACT AT MARKET ENDIF ENDIF //TRAILING STOP TGL =5 TGS=5 if not onmarket then MAXPRICE = 0 MINPRICE = close PREZZOUSCITA = 0 ENDIF if longonmarket then MAXPRICE = MAX(MAXPRICE,close) if MAXPRICE-tradeprice(1)>=TGL*pointsize then PREZZOUSCITA = MAXPRICE-TGL*pointsize ENDIF ENDIF if shortonmarket then MINPRICE = MIN(MINPRICE,close) if tradeprice(1)-MINPRICE>=TGS*pointsize then PREZZOUSCITA = MINPRICE+TGS*pointsize ENDIF ENDIF if onmarket and PREZZOUSCITA>0 then EXITSHORT AT PREZZOUSCITA STOP SELL AT PREZZOUSCITA STOP ENDIF // DONCHIAN STOP DC=20 e= Highest[DC](high) f=Lowest[DC](low) if longonmarket then laststop = f[1] endif if shortonmarket then laststop = e[1] endif if onmarket then sell at laststop stop exitshort at laststop stop endif set target pprofit 30 This trading sistem can be used with other currency pairs. To find the values of variables suitable for other currency pairs, you must use WF, to avoid an overfitted values: if the WF will be done on bars 200,000 may be divided into two halves, the first test will be carried out with a large range value starting with the value in the attached picture below, the second test will have a range around the variables choices during the first test. IN THE LAST YEAR THE OPTIMIZATION OF TRAILING STOP SUGGEST THIS VALUE: TGL=9 TGS=10 … THIS MEAN ABOUT 10 PIP FOR BOTH

This topic has 359 replies, 1 voice, and was last updated 1 year ago by RandyG.

Viewing 15 posts - 61 through 75 (of 360 total)

← 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 … 20 21 22 23 24 →

04/20/2017 at 5:52 AM #32679

Elsborgtrading

I will start on London Gas OIL- LGO may 17

1 user thanked author for this post.

ALE

Elsborgtrading
Participant

Topics: 37
Replies: 359
Been thanked: 154 times

04/20/2017 at 9:29 AM #32688

Elsborgtrading

London Gas Oil- may-17

I think the number of trades is to small to have a statistically baseline. It’s 14

I’ve optimized it several times, so the scrndump is just one of them. I don’t think it worth pursuing unless the 200000 version has significant more data.

Cheers Kasper

Elsborgtrading
Participant

Topics: 37
Replies: 359
Been thanked: 154 times

04/20/2017 at 9:40 AM #32691

victormork

Hi! I’ve attached a version for Gold.

victormork
Participant

Topics: 19
Replies: 165
Been thanked: 57 times

04/20/2017 at 10:11 AM #32701

GraHal

Small matter, but can affect results … what we doing re Timezone? Are we all sticking to UTC+1 … same as original?

Better still, if we use UTC+1 or our own timezone then I suggest Timezone is entered in Comments at top of Code. This is a good QA practice, saves asking and removes doubt.

If we enter our PRC Username as the last comment followed in brackets by timezone of times in the code (see below) then we know that the Optimiser (for a new market) has not just forgot and left timezone at UTC+1.

// EURUSD(-) - IG MARKET // TIME FRAME 1H // PROBACKTEST TICK by TICK - 200.000 bars // SPREAD 0.6 PIP // ALE (<strong>UTC+1</strong>)

1
2
3
4
5

// EURUSD(-) - IG MARKET
// TIME FRAME 1H
// PROBACKTEST TICK by TICK - 200.000 bars
// SPREAD 0.6 PIP
// ALE (<strong>UTC+1</strong>)

GraHal

GraHal
Participant

Topics: 211
Replies: 8768
Been thanked: 2179 times

04/20/2017 at 10:37 AM #32705

GraHal

Mmm looks like we need some QA re filenames?

victormork has provided a ‘reinvestment version’ for Gold.

How about filename protocol. Do we use v1 and v2 or a unique naming protocol, example below. V1, v2 etc can then still be used if a new version of either evolves.

FBI EURUSD 1H OPTI

FBI- Reinv Gold 1H OPTI

GraHal

GraHal
Participant

Topics: 211
Replies: 8768
Been thanked: 2179 times

04/20/2017 at 10:39 AM #32706

ALE

@ Grahal, yes .. sorry.
@ Kasper, yes … I think that we can try with daily time frame on this market without history.

ALE
Moderator

Topics: 17
Replies: 569
Been thanked: 223 times

04/20/2017 at 10:56 AM #32710

ALE

@ Victor, have you test GOLD on 200.000 bars? I’ve not found spread in you version, is it possible?

Thanks

ALE
Moderator

Topics: 17
Replies: 569
Been thanked: 223 times

04/20/2017 at 10:57 AM #32711

GraHal

Sorry guys, I seem to have got out of bed with a QA hat on this morning! 🙂

What you reckon re leaving the variable values in the Optimiser window (see attached) for any files we add as .itf on here? I found this very useful on Ale’s original as it makes it easy to satisfy oneself re the variable value selected?

As we know it’s not always a variable value that gives the most profit that is the best one to use (might be optimised on an exception, gives big drawdown etc).

Also easy to then optimise for the future as Ale states early on in this Thread.

I’m keeping the OPTI version in the ‘Indicator & Trading Systems’ store for future. I then duplicate the OPTI version (when I’m happy with variable values) click crosses in Optimiser to delete variables, delete OPTI in the title and then release to Live.

I guess above / similar was Ale’s intention and a good idea it is, thank you Ale!

GraHal
PS I thought of saving ‘OPTI version as a test-bed’ as I was writing … alzheimer pills are working after all 🙂 (joke)

GraHal
Participant

Topics: 211
Replies: 8768
Been thanked: 2179 times

04/20/2017 at 11:50 AM #32721

GraHal

Are we using the best times or are we mixed up re timezones?

Attached are 3 sets of Ale’s Gold Bot (FRACTAL BREAKOUT GOLD 1HV1) … if I reduce times by 1 hour I get better results, reduce by 2 hours I get even better results??

Attached files are named by actual times in the file.

GraHal

GraHal
Participant

Topics: 211
Replies: 8768
Been thanked: 2179 times

04/20/2017 at 11:51 AM #32727

GraHal

4 more attached as I could only attach 4 above.

GraHal
Participant

Topics: 211
Replies: 8768
Been thanked: 2179 times

04/20/2017 at 11:56 AM #32731

Elsborgtrading

ahh yes I totally forgot that about timezones, must be because I think that Italy is the same as Denmark- +1 GMT, or wait.. +2GMT because of daylight savings, but I also thing that German stock exchange follow the daylights savings- but then again others might not.. OMG total chaos. :-D- but good point Grahal!

Elsborgtrading
Participant

Topics: 37
Replies: 359
Been thanked: 154 times

04/20/2017 at 12:06 PM #32736

GraHal

HAHAHAHAHAHAHAHAHAHAHAHAHAHAHAHAHAHAHAHAHA … good one Kasper!!!!

Coffee and toast now laughing my ass off!!!

1 user thanked author for this post.

Elsborgtrading

GraHal
Participant

Topics: 211
Replies: 8768
Been thanked: 2179 times

04/20/2017 at 12:17 PM #32737

victormork

@ALE I used 0.3 spread and unfortunately I can only test on 100000 bars.

1 user thanked author for this post.

ALE

victormork
Participant

Topics: 19
Replies: 165
Been thanked: 57 times

04/20/2017 at 1:12 PM #32746

ALE

🙂 I open a parenthesis, I do not want to distract you, but there is an interesting declination of the original version FBS_EURUSD_1H. I added bjoern code to enter at market from this strategy “True Range Breakout EUR/USD” . They work well together. I can discuss later an other topic, may be that bjoern could help us to opt.

5 users thanked author for this post.

criscolci, Francesco78, Henrik, GraHal, victormork

ALE
Moderator

Topics: 17
Replies: 569
Been thanked: 223 times

04/20/2017 at 1:38 PM #32762

Nicolas

@victormork
You should adopt a higher spread, in fact the highest possible related to what ALE wrote in in Excel sheet. Slippage and latency are our worst enemies..

@ALE
I’m already distracted so far 🙂 Too much good things these recent days on the website! Please open a new thread for this fork of your strategy, it’s already a bit of a mess here! ahahah

Nicolas
Keymaster

Topics: 81
Replies: 20863
Been thanked: 4773 times
Author

Posts

Viewing 15 posts - 61 through 75 (of 360 total)

← 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 … 20 21 22 23 24 →

Find exclusive trading pro-tools on

Fractal breakout intraday Strategy EUR/USD 1H –

1 user thanked author for this post.

1 user thanked author for this post.

1 user thanked author for this post.

5 users thanked author for this post.